Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0032 |
| Annualized Std Dev | 0.0150 |
| Annualized Sharpe (Rf=0%) | 0.2128 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4694.0000 |
| NAs | 1.0000 |
| Minimum | -0.0066 |
| Quartile 1 | -0.0004 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0005 |
| Maximum | 0.0071 |
| SE Mean | 0.0000 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0000 |
| Variance | 0.0000 |
| Stdev | 0.0009 |
| Skewness | -0.5044 |
| Kurtosis | 6.1544 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0007 |
| Gain Deviation | 0.0006 |
| Loss Deviation | 0.0008 |
| Downside Deviation (MAR=210%) | 0.0084 |
| Downside Deviation (Rf=0%) | 0.0007 |
| Downside Deviation (0%) | 0.0007 |
| Maximum Drawdown | 0.0450 |
| Historical VaR (95%) | -0.0014 |
| Historical ES (95%) | -0.0024 |
| Modified VaR (95%) | -0.0016 |
| Modified ES (95%) | -0.0030 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2004-03-25 | 2006-07-05 | 2008-01-17 | -0.0450 | 961 | 574 | 387 |
| 2016-07-06 | 2018-11-08 | 2020-02-27 | -0.0292 | 918 | 593 | 325 |
| 2008-03-18 | 2008-06-12 | 2008-11-19 | -0.0289 | 173 | 61 | 112 |
| 2008-12-17 | 2009-12-31 | 2015-10-02 | -0.0241 | 1710 | 262 | 1448 |
| 2003-06-16 | 2003-09-02 | 2004-03-09 | -0.0134 | 185 | 55 | 130 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2002 | NA | NA | NA | NA | NA | NA | 0.2 | 0 | -0.3 | -0.3 | 0 | -0.1 | -0.4 |
| 2003 | 0 | 0 | -0.2 | -0.2 | 0 | -0.1 | -0.2 | 0 | -0.1 | 0 | -0.3 | 0 | -1.1 |
| 2004 | 0 | -0.2 | -0.3 | 0 | -0.3 | -0.2 | 0.1 | -0.1 | -0.2 | -0.2 | -0.1 | -0.1 | -1.5 |
| 2005 | -0.2 | -0.2 | -0.2 | -0.1 | 0 | -0.5 | -0.3 | -0.2 | -0.1 | -0.3 | -0.4 | 0 | -2.4 |
| 2006 | -0.4 | -0.4 | 0 | -0.4 | -0.2 | 0.1 | -0.3 | -0.2 | -0.1 | -0.3 | -0.2 | 0 | -2.3 |
| 2007 | -0.4 | -0.2 | 0 | -0.4 | -0.4 | 0.2 | -0.5 | 0.2 | -0.3 | 0 | 0 | 0.2 | -1.6 |
| 2008 | -0.2 | 0.3 | -0.6 | -0.4 | 0.1 | -0.3 | -0.3 | 0 | 0 | 0 | -0.2 | 0 | -1.3 |
| 2009 | 0.1 | 0.1 | -0.2 | -0.3 | -0.2 | 0 | 0.2 | 0 | 0 | 0.1 | -0.7 | -0.1 | -1.2 |
| 2010 | -0.1 | -0.1 | -0.1 | 0.1 | -0.1 | -0.1 | 0 | -0.1 | -0.1 | 0 | -0.2 | 0.1 | -0.8 |
| 2011 | -0.2 | 0 | 0 | 0 | 0 | -0.1 | -0.1 | 0 | 0 | 0 | 0 | 0.1 | -0.4 |
| 2012 | -0.1 | -0.1 | 0 | 0 | 0 | 0 | 0 | 0.1 | 0 | 0 | 0 | 0 | -0.2 |
| 2013 | 0 | 0 | 0 | 0 | 0 | 0 | -0.1 | 0 | 0 | -0.1 | 0 | 0 | -0.2 |
| 2014 | 0 | 0 | -0.1 | 0 | 0 | -0.1 | 0.1 | 0 | 0.1 | 0 | 0 | 0 | 0 |
| 2015 | 0.1 | 0 | 0 | -0.1 | -0.1 | -0.1 | 0.1 | 0 | 0 | 0 | 0 | 0 | -0.2 |
| 2016 | -0.1 | -0.2 | -0.1 | 0 | -0.1 | 0 | -0.1 | 0 | -0.1 | -0.1 | -0.1 | 0 | -0.8 |
| 2017 | -0.1 | -0.1 | 0 | -0.1 | -0.1 | 0 | 0 | -0.1 | 0 | -0.1 | -0.1 | 0 | -0.8 |
| 2018 | -0.1 | 0 | 0 | -0.2 | -0.2 | 0 | -0.2 | 0 | -0.2 | -0.1 | 0 | 0 | -0.9 |
| 2019 | -0.3 | -0.3 | -0.3 | -0.3 | 0.2 | -0.2 | 0.1 | 0 | 0 | -0.2 | 0 | 0 | -1.3 |
| 2020 | 0.1 | 0.4 | -0.1 | -0.2 | -0.1 | -0.1 | 0 | -0.1 | -0.1 | 0 | -0.1 | 0 | -0.2 |
| 2021 | 0 | 0 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.1 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
